2 papers
q-fin.RM2022
On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures
Guangyan Jia, Mengjin Zhao
We give an axiomatic framework for conditional generalized deviation measures. Under financially reasonable assumptions, we give the correspondence between conditional coherent ris…
q-fin.MF2020
Continuous-Time Risk Contribution of the Terminal Variance and its Related Risk Budgeting Problem
Mengjin Zhao, Guangyan Jia
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades…